On October 6, 2026, the S&P 500 closed at 7,818.93 and the VIX at 15.01. Those two numbers are enough to say what the options market was pricing: a typical daily move of about 74 points, about 165 points over a week and about 339 points over a month. That is the expected move, and it is one of the most useful numbers in options trading: it tells you where strikes sit relative to what is priced, where stops sit relative to normal noise, and whether an event is cheap or expensive. For the volatility behind it, see the implied volatility guide.
What is the expected move in options?
The expected move is the price range, one standard deviation either side of today’s price, that options imply by a given date. Under the model behind option prices, the stock finishes inside it about 68% of the time.
Option prices depend on implied volatility, the market’s annualized estimate of how much the stock will move. Turning that into a range in dollars for a specific date is just a matter of scaling by time. The result is the market’s priced range, built from what traders are willing to pay for options right now. It isn’t a prediction of direction, and it isn’t a promise about size: it is the move at which buyers and sellers of options roughly break even.
How do you calculate the expected move?
Use expected move = stock price × implied volatility × √(days to expiry ÷ 365). For the S&P 500, use the VIX as the implied volatility.
Worked example, illustrative: a $100 stock with 30% implied volatility and 30 days to expiry. √(30 ÷ 365) = 0.287. Expected move = 100 × 0.30 × 0.287 = $8.60. The one-standard-deviation range is about $91.40 to $108.60; two standard deviations, about $82.80 to $117.20. For the index, traders usually scale the VIX by trading days: daily move = VIX ÷ √252, or about VIX ÷ 16. At a VIX of 15.01 that is 0.95% a day, or about 74 S&P 500 points.
| Horizon | Formula | S&P 500, Oct 6, 2026 | As % of index |
|---|---|---|---|
| 1 trading day | 7,818.93 × 0.1501 × √(1/252) | ±74 points | ±0.95% |
| 1 week (5 days) | × √(5/252) | ±165 points | ±2.1% |
| 1 month (21 days) | × √(21/252) | ±339 points | ±4.3% |
Divide the VIX by 16 for the S&P 500’s implied daily move in percent. A VIX of 16 prices about 1% a day; 32 prices about 2%.
Is the straddle price the expected move?
Close, but not the same. The at-the-money straddle prices the average absolute move, which is about 0.8 times one standard deviation.
A straddle, a call and a put at the same at-the-money strike, pays the size of the move in either direction. Under a normal distribution, the average absolute move is √(2/π), about 0.8, times the standard deviation. So on October 6 the 30-day straddle priced at the VIX was about 269 points, against a one-standard-deviation move of about 336. Some platforms show the straddle as the expected move, some show 85% of the straddle, and some use the volatility formula. They answer slightly different questions. For event trades such as earnings, the straddle expiring just after the event is the most practical measure, because it prices the specific event; our guide to straddles around earnings covers how to compare it with past moves.
How often does the market stay inside the expected move?
More often than the theory says. From October 2016 to September 2026 the S&P 500 finished inside its VIX-implied one-month range in 82% of 21-day windows, against 68% for a normal distribution.
The reason is that the VIX usually runs above the volatility the index goes on to deliver. Over the same period, realized volatility over the following month averaged about 78.5% of the VIX. That gap is the volatility risk premium, and it is why the range held more often than priced. Two cautions. First, the breaks that did happen were often large: the index finished outside two standard deviations in about 1.2% of windows, against roughly 4.6% for a normal curve, but those windows included the sharpest losses of the decade. Second, breaks were not symmetric: the index broke above the range in about 10% of windows and below it in about 8%. A short strangle or iron condor placed at the expected move would have collected premium most months and then faced the large moves our fat tails guide describes.
Treating the expected move as a boundary. It is a one-standard-deviation range, so moves outside it happen regularly, and when they do they can be several times its size. Place strikes with the range in mind, but size for the move beyond it.
How do you find the expected move for an event?
Use the at-the-money straddle for the first expiry after the event, or compare implied volatility across expiries before and after it. The extra premium is the event’s priced move.
Scheduled events add a jump to normal daily movement. If the 7-day straddle on a stock reporting earnings in three days is priced at $9 and a typical week without earnings would be about $5, the market is pricing roughly a $6–$7 earnings-day move on its own. The same logic applies to index options around Fed decisions and CPI reports: see FOMC week options trading for how the S&P 500 has actually moved on Fed days compared with ordinary days. After the event, implied volatility usually drops sharply, which is the IV crush buyers of event straddles have to overcome.
How do traders use the expected move?
Traders use the expected move to place strikes, set stops and judge whether options are cheap or expensive relative to what the stock usually does.
- Strike selection. Short strikes outside the one-standard-deviation range correspond roughly to 16-delta options; see probability of profit for how delta and range relate.
- Stops. A stop inside the normal daily range will be hit by noise; setting it beyond one or two days’ expected move ties it to real information. See options stop losses.
- Hedges. For a concentrated position, the expected move tells you what a put at a given strike is protecting against, and what the market charges for it.
- Cheap or rich. Compare the priced move with past realized moves for the same event or period. If the straddle has priced more than the stock usually delivers, selling premium has the better odds; if less, buying it does.
How does the expected move change with the VIX?
The expected move scales directly with implied volatility: double the VIX and you double the priced range.
At a VIX of 15, the S&P 500’s priced monthly range was about ±4.3%. At a VIX of 30 it would be about ±8.7%, and at 45 about ±13%. That is why the same strike can be conservative one month and aggressive the next. Choosing strikes by delta or by expected move, rather than by a fixed distance from the price, adjusts automatically. Our VIX volatility regimes guide covers what each range of the VIX has historically meant for stocks.
What is a checklist for using the expected move?
- Calculate it: price × implied volatility × √(days ÷ 365), or read the at-the-money straddle.
- Know which version your platform shows: one standard deviation, the straddle, or 85% of the straddle.
- Check the calendar: earnings, Fed decisions and CPI inside the window add jump risk.
- Compare the priced move with recent realized moves to judge cheap or rich.
- Place short strikes and stops relative to the range, not a fixed dollar distance.
- Size for moves beyond the range; they are rarer than priced but larger when they come.
Frequently asked questions
How do you calculate the expected move of a stock?
Multiply the stock price by the option’s implied volatility and by the square root of the time to expiry in years: price × IV × √(days ÷ 365). For a $100 stock with 30% implied volatility and 30 days left, that is about $8.60, so the one-standard-deviation range is roughly $91.40 to $108.60.
Is the expected move the same as the straddle price?
Not exactly. The at-the-money straddle prices the average absolute move, which is about 0.8 times one standard deviation. On October 6, 2026, the 30-day S&P 500 straddle was about 269 points while the one-standard-deviation move was about 336. Many platforms show the straddle or 85% of it as the expected move.
How do you calculate the expected move from the VIX?
Multiply the S&P 500 level by the VIX divided by 100, then by the square root of the number of trading days divided by 252. For one day, divide the VIX by about 16 to get the implied daily percent move: a VIX of 15 implies about 0.95% a day.
How often does the stock stay within the expected move?
In theory about 68% of the time for a one-standard-deviation range. In practice the S&P 500 stayed inside its VIX-implied one-month range in 82% of windows from October 2016 to September 2026, because implied volatility usually runs above realized. When it broke out, the moves were often large.
What is the expected move for earnings?
For earnings, use the price of the at-the-money straddle expiring just after the report, or the difference in implied volatility between that expiry and the next one. Earnings moves are lumpy, so the straddle is usually a better guide than a volatility formula.
How do traders use the expected move?
To pick strikes outside or inside the priced range, to set stops beyond normal noise, to size hedges, and to judge whether an event is cheap or expensive to trade by comparing the priced move with past actual moves.
Key takeaways
- Expected move = price × implied volatility × √(time in years): a one-standard-deviation range.
- The at-the-money straddle is a quick estimate, but it is about 0.8 times one standard deviation.
- On October 6, 2026, the VIX at 15.01 priced about ±74 S&P 500 points a day and ±339 a month.
- From 2016 to 2026 the index stayed inside its one-month implied range 82% of the time, not 68%.
- Breaks are rarer than priced but bigger: plan stops and size for the tail, not the range.
- Use the expected move to place strikes and stops relative to what is priced, not as a forecast.
Sources and method
- S&P 500 via FRED (SP500) — 7,818.93 on October 6, 2026; daily closes since Oct 2016
- Cboe Volatility Index via FRED (VIXCLS) — 15.01 on October 6, 2026
- Cboe, VIX Index — how the VIX measures 30-day implied volatility
- OCC, Characteristics and Risks of Standardized Options — options pricing and risks
- Investor.gov, Options (glossary) — definitions
Chart 1 uses the October 6, 2026 closes of the S&P 500 (7,818.93) and VIX (15.01) from FRED, scaled by the square root of trading days over 252. Chart 2 counts 2,491 overlapping 21-trading-day windows from October 7, 2016 to October 6, 2026, comparing the S&P 500’s price change with the VIX at the start × √(21/252); price returns only, no dividends. Chart 3 prices a 30-calendar-day at-the-money straddle with Black–Scholes using the VIX as implied volatility and a 4.2% rate; it is illustrative, as real SPX options trade at their own implied volatilities and skew.